I am looking to backtest 5-10 ETFs using a simple MA. Is there anywhere free I can do that?

ETFReplay only seems to do 1 ETF unless you subscribe. That also only has around 10 years of data. I would rely prefer being able to backtest much further (I will be using pretty broad indexes if necessary since ETFs don't go back that far).

Any idea how to do it? This site seems geared to switch amongst a number of possible candidates (ranking them) and I don't see how to make it just buy if it passes the 200 day MA and sell if it drop below it.

Any idea how to do it? This site seems geared to switch amongst a number of possible candidates (ranking them) and I don't see how to make it just buy if it passes the 200 day MA and sell if it drop below it.

Any idea how to do it? This site seems geared to switch amongst a number of possible candidates (ranking them) and I don't see how to make it just buy if it passes the 200 day MA and sell if it drop below it.=== === ===You need to familiarize yourself with that excellent site.In this little example, trading weekly, you buy GLD whenever it is ABOVE the 200-da SMA:

I don't think the 5 year backtest this site does really tells you very much though.

Indeed.I would never put any money into a scheme based on ETF backtesting;other than perhaps SPY, there aren't any ETFs with histories plausibly long enough.

Hypothetically speaking, it would be great if someone were to put togethera downloadable file from public sources that included returns forthe "usual suspects" ETFs backfilled to a much earlier date with the mostappropriate index data. Daily is a lot to ask, but some of this isn'tvery hard to find on a monthly total return basis.e.g. I downloaded monthly REITs data from end 1971 from NAREIT, and Ihave daily total return data from 1989 for almost any country or region you could name that I got from S&P simply via a free registration.Pinnacle offers CRB continuously-linked futures index from 1971(as well as separate energy, grains, industrials, meats, metals),though unfortunately that's not freely available.

Anyone feeling up to pulling together a data set of whatever's available for free?

I like that data set too, but it's 100 US equities.I was thinking more along the lines of the sort of data set you'd use for QTAA testing.I'd like to see monthly high/low/close total return for several different asset classes back to the 60s.(why highs? "above 10 month SMA" is fine for G7 equities, but "new high lately" seems much better for spiky/bubbly things like gold and commodities)

I was thinking more along the lines of the sort of data set you'd use for QTAA testing.I'd like to see monthly high/low/close total return for several different asset classes back to the 60s.(why highs? "above 10 month SMA" is fine for G7 equities, but "new high lately" seems much better for spiky/bubbly things like gold and commodities)

Fantastic IDEA. Unfortunately not very practical for us humans. To many current ETF's on indices that didn't exist that far back.

If you could accept about 12 years of data this(or something similiar) FIDO_free Balanced qrouping might be worth the effort to backfill with index data.

If you could accept about 9 years of data this(or something similiar)...

No thanks!The era since 2000 has been mostly the golden age of simple momentum investing.Down, up, down, up, done.

I'm not interested in any strategy based on ETF history alone, and likely won't be for another 20 years.I have daily data for every equity market from 1989 and haven't built a system from it because I'm not convinced it's usefully long.

It trades in and out of 5 funds based on 200-day SMA of the respective fund. You might can use it as a model for what you are trying to do.

I will agree that one must be very cautious when drawing any conclusions from an ETF backtest due to the short history and the changing complexion of the funds. Keep the models simple and logical and hopefully you will be able to compare the results to other populations with longer histories.

>[i]Interesting that all the noise about how important it is to not trade more often than monthly doesn't seem to hold water this time.[/i]

Maybe a long cycle trade like this needs to be better timed? Also I would point out that in this screen we are not really switching between assets and that might make a difference. We are making 5 independent decisions regarding 5 funds so those decisions need to be well timed. Obviously - I don't know.

Thanks for jumping in and you are correct. Since we have 5 funds to fill five positions the sort order is irrelevant, but required by the software.

For those wanting to test separate entry and exit rules we might have something to show you next week, but it will be aimed at trading in and out of a single fund, not selecting x holdings from a pool.

It trades in and out of 5 funds based on 200-day SMA of the respective fund. You might can use it as a model for what you are trying to do.

I will agree that one must be very cautious when drawing any conclusions from an ETF backtest due to the short history and the changing complexion of the funds. Keep the models simple and logical and hopefully you will be able to compare the results to other populations with longer histories.

Disclosure - The ETFScreen site is mine.----------------------------------------------------

I currently use similar funds with the following changes:1) Use a small cap fund and a large cap fund for stocks2) Also use a utilities fund3) Use a short term and long term treasury fund

I am looking to implement an in/out based on 200 day SMA. I am thinking it is probably too much trouble using as many funds as I am now (I just stay in them). 5 or 6 seems more reasonable.

Can your back tester compare the 200 day SMA-price to the 200 day SMA- 50 day SMA?